Tuesday, 16 October 2012

The VIX Index (20 day av) falls to five year low

The CBOE Volatility Index (VIX) fell to its lowest level yesterday since 9 July 2007 based on its 20 day moving average value of 15.21. The current index value is 15.9% lower than the 18.08 median figure since January 2000 and 44.1% higher than the lowest ever recorded of 10.55 (Feb 2007). This indicates that near term expected volatility in stock market prices is lower than median as measured by stock index option prices. However, as a contrarian indicator it also could indicate the calm before the storm.


 

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